Developing a Trading Rule from the FTSE‐100 Stock Index Futures Contract: Evidence in Support of the EMH
基于富时100股指期货合约构建统计可靠的预测模型，并测试简单交易规则，发现该模型未能为风险中性投资者带来超额收益，从而支持有效市场假说。
An extensive literature documents the predictability of both short and long horizon returns, over a wide range of sample periods, frequencies and markets. This predictability may represent weak form inefficiency, or it may be caused by a failure to account for a time‐variation in risk. We develop statistically reliable ex ante models of the returns on the FTSE‐100 stock index futures contract and test a simple trading rule based on the out‐of‐sample predictions from these models. We interpret the failure of our ex ante model to produce abnormal returns for a risk neutral investor as evidence in favour of the EMH. Our trading rule results clearly suggest that we should be careful in interpreting such ex ante models as evidence of financial market inefficiency.